Reliable real-time output gap estimates based on a modified Hamilton filter

Arbeitspapier

The authors contribute to the debate regarding the reliability of output gap estimates. As an alternative to the Hodrick-Prescott (HP) filter, they propose a simple modification of the filter proposed by Hamilton in 2018 that shares its favorable real-time properties, but leads to a more even coverage of typical business cycle frequencies. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy institutions, they find that real-time output gaps based on the modified Hamilton filter are economically much more meaningful measures of the business cycle than those based on other simple statistical trend-cycle decomposition techniques such as the HP or the Bandpass filter.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IMFS Working Paper Series ; No. 133

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Methodological Issues: General ; Business Fluctuations; Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
• Thema: output gap ; potential output ; trend-cycle decomposition ; Hamilton filter ; real-time data ; inflation forecasting

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Quast, Josefine ; Wolters, Maik H.
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
• (wo): Frankfurt a. M.
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/195063
• URN: urn:nbn:de:hebis:30:3-500573